高盛的经营模式及与其相辅相成的风险管理-Risk-Management-v3

BusinessModelandRiskManagementatGoldmanSachs

高盛的经营模式及与其相辅相成的风险管理RiskManagementDepartment2011/8/2高盛经营模式FourBusinessLines:

40

bnInstitutionalClients:22bnInvestingandLending:8bnInvestmentManagement:5bnInvestmentBanking:5bnGlobalOperation:America:22bnEMEA:10bnAsia:7bnWhereistheRisk?InstitutionalClients

(向右走)InvestmentandLending

(向左走)Institutional

Clients(向右走):whatresourcesdoweneed?CapitalMarketTradingFlow客户交易MarketMaking作市OriginationECM/DCM一级市场销售CapitalIntensive(资本密集)Intelligence

Intensive(知识密集）Tier1Clients:(优秀的客户群)CoreAdvantage(核心优势）:Information/Pricing/RiskManagementInvestmentandLending(向左走)中信证券：金石投资公司：

PIA

+REPIA＋GSSG中信产业基金:Funds高盛：MerchantBankingDepartment（待定）PrincipalInvestmentAccounts(PIA)RealEstateInvestmentAccounts(REPIA)FundsGlobalSpecialSituationGroup

(GSSG,待定）GSPS

（卖给KKR）GlobalMacroTrading

（关掉）PropStocktrading（规模非常小）InstitutionalClients(向右走)中信证券：(买方业务）股票自营交易和衍生品部自营量化专项债券销售和交易部债销交易资金运营部现金管理高盛

(SecuritiesDivision):$22BnEquity:$7.2BnOneDeltaDerivativesGlobalSecuritiesServiceQT/SpecialistReinsuranceFICC:$15.4BnIRPShortTermInterestRatesGlobalCurrenciesGlobalCommoditiesGlobalCreditProductsGlobalMortgages高盛的经营模式衍生的风险BalanceSheetRiskandLiquidityRiskOutofthetotal$900bnassets,$367bnownedbyGS.LeverageiswidelyusedtoenhancereturnonequityMarketRiskExposuretoglobalmarketmovementsCreditRiskExposuretoeachcounterparty’screditdeterioration:migrationanddefaultOperationalRiskFinanciallossduetooperationerrorsReputationRisk

NegativeMediaCoverage/LawSuitStrategyRisk

-MorganStanley高盛风险管理的宗旨(Philosophy)BoardsetuptheriskappetiteforthefirmManagementlevelRiskManagementCommitteehastheauthoritytomanageriskondailybasisRiskManagementDepartment’sresponsibilityistoMeasure,Monitor,ManageRiskRiskmanagementisforwardinglooking,understandtheriskandmakesuretheriskiswithincertaincapacityAnswerbasisquestions:KeepItSimpleSweetheart(KISS)HowmuchmoneycouldIpossiblelose?HowmuchexposuresIhavetooneasset/oneriskfactor?Whatwouldbetheimpactifoneofmycounterpartiesgoesbankrupt?Whatwouldtheresultifonecountryisintrouble?Whataretheconcentrated,illiquid,nonlinearexposures?Whereisthefundingrisk?Whatassetsarehardtofund?

TwoWords:“Nosurprise!”高盛风险管理的架构三个支架：信息的透明准确(Transparency)，风险管理的架构(Structure)，各部门人员在各层次上的沟通(Communication)

硬件：(IT,Computer)有效的信息系统:

RiskManagement/InformationSystem紧密的流程:Process–DataFlow

软件：(People,Culture,Philosophy)从上至下的风控文化合理的风控架构完整的Policy

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Procedure称职的风控人员部门层次董事会层次委员会管理层次Board(董事会）ManagementCommitteeBusinessPracticesCommitteeAuditingCommitteeCapitalCommitmentCommitteeFirmwideRiskCommitteeFinance

CommitteeFederationBusiness

DivisionsIT电脑部财会部风控部资金运营部稽核部综合管理部合规部股票部门大宗商品外汇直投固定收益高盛风险管理的架构–公司总体DivisionalRisk

CommitteeChiefRiskOfficerMRMAMRAGSAMMRACorpRiskMRSCRMAPrivatePublicORMA高盛风险管理的架构–风控部门Head,MarketRiskManagementandAnalysisChiefofStaffMarketRiskAnalysisAmericaEMEAAsiaGSAMMarketRiskAnalysisMutualFundsHedgeFundsCorporateRiskCapitalAttributionCapitalReportingModelValidationMarketStrategistRiskModelingDerivativeAnalysis高盛风险管理的架构–市场风控部RiskManagementPracticesTeams:BoardRMC/AuditCommittee:Setuptheriskappetite,delegatetheauthorityFRC:ManagementResponsibility,Review/Approvefirm-widelimitDRC:Reviewdivisionalrisklimits/ControlriskatdivisionlevelMRMA:Independentlymeasure/monitor/reportriskexposuresBusiness:RiskTaker,Hedge/Controltherisk

Reports:Daily:FirmwideRiskReport,BusinessLineRiskReport:Whatarethechanges?Weekly:FRC/DRCRiskPackage:MarketRisk,CreditRisk,LiquidityRiskMonthly:MonthlyRiskReviewQuarterly:FWRQuarterlyRiskReview风控流程Firm-wideRiskCommitteeDivisionalRiskCommitteeBusinessLinesRiskManagementLimit/RiskAppetiteHowtosetuprisklimits?Risk/ReturnJustEnoughMulti-dimensionLimitsClearcommunicationDisciplineRiskmanagementRiskCommittees

FRC:WeeklyCharterChairmanship：CFO,ExecutiveOfficerMembers:Headofeachbusinesslines,(A角）RiskManagement,